You can purchase your own set of headphones with clips so they don't fall of your ears at any store, but if you'd prefer to use your own pair with your favorite headphones, Instructables user concoctory shows how to use Sugru to create your own clips.

Concoctory's guide uses Sugru and some paper clips to form the base. It's an incredibly easy project, but if you're in need of some headphones with clips for exercising or whatever else, this is a very easy way to DIY your own. Head over to Instrutables for the full guide.